Bond Roll Enhancements | Weekly Release 9/25/20

Enhancement#1


Added “$Ann C+R” column which calculates the annualized carry and rolldown

For traders who would like to have an overview of their annualized carry and rolldown, we added a new column to Bond Roll sheet.

This column can be added from “Table” → “Manage Columns” → and traders can search for “$Ann C+R” in the search bar. After dragging the column to the right hand side, traders have to save the view in order to see “$Ann C+R” in the Bond Roll sheet.

Calculation for $Ann C+R:

$Ann C+R = (3M C +R) * $1M DV01 / (Dirty Px / 100) * 4

Enhancement#2


[USD] Added the “Sprd Graph” and “Bfly Graph” for SOFR, SOFR YY and SOFR ASW Z columns; also added “To Sprd/Bfly” and “To Swap Box” options from the right-click menu

In this week’s release, we added the ability to plot “Sprd Graph” for spread strategies, and “Bfly Graph” for butterfly strategies. In the example below, we selected SOFR YY values for three treasury bonds, <Right click>, and selected "Bfly Graph".

In the pop-up graph, traders can send this strategy to the Swap Box or USD Sprd/Bfly

sheet by clicking on "ToSwapBox" or "ToSprdBfly".


The same work-flow applies to SOFR and SOFR ASW Z columns.

In the example above, we present a workflow for sending a SOFR YY bfly strategy from the Bond Roll sheet to the Sprd/Bfly sheet.

Enhancement#3


[EUR] Added the “Sprd Graph” and “Bfly Graph” for ESTR, ESTR YY and ESTR ASW Z columns; also added “To Sprd/Bfly” and “To Swap Box” options from the right-click menu

We added the ability to plot “Sprd Graph” for spread strategies, and “Bfly Graph” for butterfly strategies. In the example below, we selected ESTR YY values for two treasury bonds, <Right click>, and selected "Sprd Graph".

In the pop-up graph, traders can send this strategy to the Swap Box or EUR Sprd/Bfly sheet by clicking on "ToSwapBox" or "ToSprdBfly".


The same work-flow applies to ESTR and ESTR ASW Z columns.

In the example above, we present a workflow for sending a ESTR YY spread strategy from EUR Bond Roll window to the Swap Box.

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